In VLC 0.9.x, which has a completely reworked UI using Qt4, there is a "Windows (wmv/asf)" profile which should output a Windows Media Player compatible file. Instead of selecting the Wizard you go to e.g. "Media >> Convert / Save..." etc.
Try a 0.9.1 test build or a nightly build:
http://people.videolan.org/~jb/Builds/0.9.1-test/
http://nightlies.videolan.org/
Cheers, Arite.